Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9732559 | International Journal of Forecasting | 2005 | 13 Pages |
Abstract
For over 40 years, Business Tendency Surveys have been collected in multiple member states of the European Union. Previous research has studied the predictive content of the expectation variables included in those surveys through bivariate, within-country, Granger-causality tests. These tests have resulted in mixed conclusions. We extend previous research in various ways, as we (i) explicitly allow for cross-country influences, and (ii) do so using both bivariate and multivariate Granger-causality tests. Specifically, the multivariate El Himdi-Roy (HR) test is adapted to jointly test the forecasting value of multiple production expectation series, to assess whether part of this joint effect is indeed due to cross-country influences, and to determine which countries' expectation series have the most “clout” in predicting the production levels in the other member countries, or have the highest receptivity, in that their production levels are Granger caused by the other countries' expectations.
Keywords
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Aurélie Lemmens, Christophe Croux, Marnik G. Dekimpe,